We study the roughness of the log-volatility process by testing the self-similarity of the process obtained by the de-Lampertized realized volatility. The value added of our analysis rests on the application of a distribution-based estimator providing results which are more robust with respect to those deduced by the scaling of the individual moments of the process. Our findings confirm the roughness of the log-volatility process.
Rough volatility via the Lamperti transform
Sergio Bianchi;Augusto Pianese;Massimiliano Frezza
2023-01-01
Abstract
We study the roughness of the log-volatility process by testing the self-similarity of the process obtained by the de-Lampertized realized volatility. The value added of our analysis rests on the application of a distribution-based estimator providing results which are more robust with respect to those deduced by the scaling of the individual moments of the process. Our findings confirm the roughness of the log-volatility process.File in questo prodotto:
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Rough volatility via the Lamperti transform 1-s2.0-S1007570423005038-main.pdf
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